S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6782	4.34***
α ARCH Response to squared shocks	0.0854	6.38***
β GARCH Volatility persistence	0.8782	44.37***

γ₁	-0.3013	-0.80
γ₂	0.2911	0.49
γ₃	0.2612	0.63
γ₄	-0.7623	-1.97**
γ₅	0.9804	2.90***
γ₆	-0.6838	-2.11**
γ₇	0.4160	1.25
γ₈	-0.4380	-1.23
γ₉	0.3265	1.13

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Alice Queen Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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